Cumulant-free closed-form formulas for some common (dis)similarities between densities of an exponential family

Frank Nielsen and Richard Nock

• Paper: arXiv:2003.02469
• Java code that implements the cumulant-free formula for the Gamma and Beta distributions CumulantFreeKullbackLeiblerGammaBetaDistributions.java
• Java code that implements the cumulant-free formula for the multivariate Gaussian distributions (multivariate normal, MVN) CumulantFreeKullbackLeiblerMVGaussian.java. You need to install the JAMA library.